Am 23.09.2024 um 23:13 schrieb Alecos Papadopoulos:
> I was discussing with a colleague an empirical application, and he
> told me that the only problem he had was that some elements of the
> Hessian was "nan" because they came up with the wrong sign. But the R
> code that he used did print out the Hessian, with these elements as
> "nan".
>
> Can we do that in gretl (natively)? I ask because in standard
> mle-implementation with the option --hessian we may get "Hessian is
> not negative-definite, dropping back to OPG".
If you're in a middle of an algorithm that uses the Hessian as a
numerical input, I don't see how you can (or should) ignore that this
input is not what you think it is. Just like you wouldn't want to
standardize your data with a standard error estimate that somehow came
out as negative, or would you?
>
> What I ask is whether we can instruct gretl to stick with the Hessian,
> returning some "nan" values in the diagonal / std errors.
>
Not that I'm aware of. Regarding the cited "R code" of your colleague,
maybe it has a clever solution, maybe it just prints out interim stuff
and stops there, or maybe it does very unwise things; we have no way of
knowing.

cheers

sven
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